Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products

DOI10.1007/S13385-020-00228-ZzbMath1448.91307OpenAlexW3015529535MaRDI QIDQ2209789

Stefan Graf

Publication date: 4 November 2020

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-020-00228-z

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
• A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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